Schedule IV - Mortgage Loans on Commercial Real Estate

12 Months Ended

Dec. 31, 2017

Mortgage Loans on Real Estate [Abstract]

Schedule IV - Mortgage Loans on Commercial Real Estate



6.	RESIDENTIAL MORTGAGE LOANS

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio at December 31, 2017 and 2016:



	December 31, 2017		December 31, 2016
	(dollars in thousands)
Fair value	$	1,438,322	$	342,289
Unpaid principal balance	$	1,419,807	$	338,323

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the years ended December 31, 2017 and 2016 for these investments:



	For the Years Ended:
	December 31, 2017			December 31, 2016
	(dollars in thousands)
Net interest income	$	28,817		$	3,452
Net gains (losses) on disposal of investments	(4,704		)	(922		)
Net unrealized gains (losses) on investments measured at fair value through earnings	8,468			(5,614		)
Total included in net income (loss)	$	32,581		$	(3,084	)

The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts:



Geographic Concentrations of Residential Mortgage Loans
December 31, 2017		December 31, 2016
Property Location	% of Balance	Property Location	% of Balance
California	49.8%	California	46.3%
Florida	9.3%	Texas	9.6%
New York	7.1%	Illinois	5.7%
All other (none individually greater than 5%)	33.8%	Florida	5.2%
		Washington	5.1%
		All other (none individually greater than 5%)	28.1%
Total	100.0%		100.0%

The table below provides additional data on the Company’s residential mortgage loans, including loans held in securitization trusts, at December 31, 2017 and 2016:



	December 31, 2017				December 31, 2016
	Portfolio Range	Portfolio Weighted Average			Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $3,663	$	514		$22 - $1,905	$	691
Interest rate	1.63% - 7.50%	4.25		%	2.50% - 6.75%	3.72		%
Maturity	1/1/2028 - 5/1/2057	2/1/2043			4/8/2044 - 11/1/2046	8/20/2045
FICO score at loan origination	468 - 823	748			665 - 814	761
Loan-to-value ratio at loan origination	11% - 100%	68		%	24% - 90%	71		%

At December 31, 2017 and 2016, approximately 78% and 85% of the carrying value of the Company’s residential mortgage loans, including loans held in securitization trusts, were adjustable-rate.

The following table presents the activity related to residential mortgage loans for the years ended December 31, 2017 and 2016:



	December 31, 2017			December 31, 2016
	(dollars in thousands)
Fair value, beginning of period	$	342,289		$	—
Obtained through Hatteras Acquisition	—			360,447
Purchases	1,218,491			165,213
Consolidation of VIEs	349,200			—
Sales	(278,305		)	(134,203		)
Principal repayments	(189,465		)	(42,612		)
Amortization of premiums	(1,523		)	(942		)
Change in fair value	(2,365		)	(5,614		)
Fair value, end of period	$	1,438,322		$	342,289



Schedule IV - Mortgage Loans on Commercial Real Estate
December 31, 2017
(dollars in thousands)
Description	Location	Prior Liens ⁽¹⁾		Face Amount		Carrying Amount		Interest Rate ⁽²⁾	Libor Floor	Payment Terms	Maturity Date ⁽³⁾
Mezzanine Debt Investments:
Hotel	CA	$	50,000	$	10,000	$	10,000	10.25%	N/A	Interest Only	2/6/2019
Hotel	Various	103,800		25,000		25,000		LIBOR+9.95%	0.20%	Interest Only	2/9/2018
Hotel	Various	26,223		10,335		10,335		LIBOR+8.65%	N/A	Interest Only	8/9/2019
Hotel	Various	26,223		1,691		1,691		LIBOR+8.65%	N/A	Interest Only	8/9/2019
Hotel	Various	103,800		6,500		6,500		LIBOR+8.75%	0.20%	Interest Only	2/9/2018
Hotel	LA	85,370		13,133		13,010		LIBOR+9.50%	N/A	Interest Only	9/9/2022
Mixed	OH	124,671		36,603		36,603		9.50%	N/A	Interest Only	12/1/2023
Multi-Family	NY	393,717		47,775		47,775		LIBOR+7.81%	N/A	Interest Only	10/1/2020
Multi-Family	NY	393,717		65,386		65,385		LIBOR+6.38%	N/A	Interest Only	10/1/2020
Office	CO	13,201		6,000		6,000		10.86%	N/A	Interest Only	8/6/2018
Office	TX	43,500		9,187		9,176		9.50%	N/A	Interest Only	9/1/2018
Office	LA	64,000		8,700		8,700		10.75%	N/A	Interest Only	10/1/2023
Office	Various	90,907		10,169		10,169		LIBOR+7.50%	0.25%	Interest Only	1/20/2018
Office	CA	46,151		8,559		8,575		LIBOR+9.50%	0.25%	Interest Only	3/31/2019
Office	TX	51,159		7,000		7,000		10.10%	N/A	Interest Only	12/1/2024
Office	CA	280,000		49,509		49,509		LIBOR+6.41%	N/A	Interest Only	1/2/2021
Office	CA	280,000		27,500		27,500		LIBOR+6.54%	N/A	Interest Only	1/2/2021
Office	FL	52,000		11,303		11,192		LIBOR+4.20%	0.50%	Interest Only	10/9/2021
Retail	MA	63,877		10,000		10,000		10.14%	N/A	Interest Only	9/6/2023
Retail	NY	23,750		4,890		4,857		LIBOR+3.95%	N/A	Interest Only	2/5/2022
Retail	DC	50,325		16,775		16,665		LIBOR+4.45%	0.50%	Interest Only	1/9/2022
Retail	CO	21,000		9,000		8,800		LIBOR+5.00%	1.20%	Interest Only	10/1/2022
Preferred Equity Investments:
Mixed	PA	26,000		9,000		8,985		11.00%	N/A	Interest Only	11/27/2018
First Mortgages:
Hotel	NY	—		55,000		54,588		LIBOR+4.50%	0.85%	Interest Only	8/9/2022
Multi-Family	FL	—		34,161		34,161		LIBOR+4.05%	0.20%	Interest Only	6/5/2020
Multi-Family	TX	—		15,090		15,079		4.45%	N/A	Interest Only	10/1/2020
Multi-Family	NC	—		36,800		36,749		4.25%	N/A	Interest Only	11/1/2020
Multi-Family	TX	—		33,000		32,679		LIBOR+3.25%	N/A	Interest Only	12/9/2022
Office	NJ	—		67,390		67,334		LIBOR+4.50%	0.25%	Interest Only	5/9/2020
Office	AZ	—		51,027		50,911		LIBOR+4.35%	0.20%	Interest Only	10/5/2018
Office	VA	—		41,000		41,000		LIBOR+4.25%	0.20%	Interest Only	12/9/2020
Office	FL	—		52,000		51,697		LIBOR+4.20%	0.50%	Interest Only	10/9/2021
Office	CO	—		112,400		111,513		LIBOR+3.60%	1.00%	Interest Only	8/9/2022
Retail	NY	—		23,750		23,592		LIBOR+3.95%	N/A	Interest Only	2/5/2022
Retail	DC	—		50,325		49,990		LIBOR+4.45%	0.50%	Interest Only	1/9/2022
Retail	CO	—		21,000		20,825		LIBOR+5.00%	1.20%	Interest Only	10/1/2022
Retail	TN	—		36,200		35,782		LIBOR+4.50%	N/A	Interest Only	6/6/2022
				$	1,033,158	$	1,029,327

(1) Represents third-party priority liens.

(2) LIBOR represents the one month London Interbank Offer Rate.

(3) Assumes all extension options are exercised.